Merge pull request #753 from andycheng123/improve/optimizer-config

optimizer: add max num of thread in config

config/bollmaker_optimizer.yaml

@@ -3,6 +3,7 @@
 #   go run ./cmd/bbgo optimize --config bollmaker_ethusdt.yaml  --optimizer-config optimizer.yaml --debug
 #
 ---
+maxThread: 10
 matrix:
 - type: iterate
   label: interval

config/optimizer.yaml

@@ -3,6 +3,7 @@
 #   go run ./cmd/bbgo optimize --config bollmaker_ethusdt.yaml  --optimizer-config optimizer.yaml --debug
 #
 ---
+maxThread: 10
 matrix:
 - type: iterate
   path: '/exchangeStrategies/0/bollmaker/interval'

config/pivotshort_optimizer.yaml

@@ -3,6 +3,7 @@
 #   go run ./cmd/bbgo optimize --config config/pivotshort-ETHUSDT.yaml  --optimizer-config config/pivotshort_optimizer.yaml --debug
 #
 ---
+maxThread: 10
 matrix:
 
 - type: iterate

pkg/optimizer/config.go

@@ -19,7 +19,8 @@ type SelectorConfig struct {
 }
 
 type Config struct {
-	Matrix []SelectorConfig `yaml:"matrix"`
+	MaxThread int              `yaml:"maxThread,omitempty"`
+	Matrix    []SelectorConfig `yaml:"matrix"`
 }
 
 func LoadConfig(yamlConfigFileName string) (*Config, error) {
@@ -33,5 +34,10 @@ func LoadConfig(yamlConfigFileName string) (*Config, error) {
 		return nil, err
 	}
 
+	// The default of MaxThread is 5
+	if optConfig.MaxThread <= 0 {
+		optConfig.MaxThread = 5
+	}
+
 	return &optConfig, nil
 }

pkg/optimizer/grid.go

@@ -199,7 +199,8 @@ func (o *GridOptimizer) Run(executor Executor, configJson []byte) (map[string][]
 		}
 	}
 
-	resultsC, err := executor.Run(context.Background(), taskC)
+	ctx := context.WithValue(context.Background(), "MaxThread", o.Config.MaxThread)
+	resultsC, err := executor.Run(ctx, taskC)
 	if err != nil {
 		return nil, err
 	}

pkg/optimizer/local.go

@@ -73,8 +73,8 @@ func (e *LocalProcessExecutor) readReport(output []byte) (*backtest.SummaryRepor
 }
 
 func (e *LocalProcessExecutor) Run(ctx context.Context, taskC chan BacktestTask) (chan BacktestTask, error) {
-	var maxNumOfProcess = 5
+	var maxNumOfProcess = ctx.Value("MaxThread").(int)
-	var resultsC = make(chan BacktestTask, 10)
+	var resultsC = make(chan BacktestTask, maxNumOfProcess*2)
 
 	wg := sync.WaitGroup{}
 	wg.Add(maxNumOfProcess)